2.236/1.645 = 1.35927？？？

问题如下：

Assume that the P&L distribution of a liquid asset is i.i.d. normally distributed. The position has a one-day VAR at the 95% confidence level of $100,000. Estimate the 10-day VAR of the same position at the 99% confidence level.

选项：

$1,000,000

$450,000

$320,000

$220,000

解释：

ANSWER: B

We need to scale the VAR to a 99% level using $100,000\times2.236/1.645=\$141,398$. Multiplying by $\sqrt{10}$ then gives $447,140.